
*libname TP_Data "The location of the data folder\TP_Pseudo";




*** Table 9 ***;


** Panel A **;

* Model 1 *;

Proc glm data=TP_Data.Table_9_Panel_A_model_1_to_4;
absorb Analyst_year_Dummy;
class YM_dummy Ind_Dummy;
model dgtw_adj_ret= TP TP*Pct_traded_imbalance_01_adj   Pct_traded_imbalance_01_adj Size BM Institutional_holding Turnover Dispersion Past_12m_return Analyst_Coverage fexp Relative_EPS_optimism  drop_cov Top10_Broker Investment_Bank_Affiliation Broker_Ind_spec
					YM_dummy Ind_Dummy/ solution;
run;
quit;

* Model 2 *;

Proc glm data=TP_Data.Table_9_Panel_A_model_1_to_4;
absorb Analyst_year_Dummy;
class YM_dummy Ind_Dummy;
model dgtw_adj_ret= TP TP*Pct_traded_imbalance_02_adj   Pct_traded_imbalance_02_adj Size BM Institutional_holding Turnover Dispersion Past_12m_return Analyst_Coverage fexp Relative_EPS_optimism  drop_cov Top10_Broker Investment_Bank_Affiliation Broker_Ind_spec
					YM_dummy Ind_Dummy/ solution;
run;
quit;

* Model 3 *;

Proc glm data=TP_Data.Table_9_Panel_A_model_1_to_4;
absorb Analyst_year_Dummy;
class YM_dummy Ind_Dummy;
model dgtw_adj_ret= TP TP*Pct_traded_imbalance_03_adj   Pct_traded_imbalance_03_adj Size BM Institutional_holding Turnover Dispersion Past_12m_return Analyst_Coverage fexp Relative_EPS_optimism  drop_cov Top10_Broker Investment_Bank_Affiliation Broker_Ind_spec
					YM_dummy Ind_Dummy/ solution;
run;
quit;

* Model 4 *;

Proc glm data=TP_Data.Table_9_Panel_A_model_1_to_4;
absorb Analyst_year_Dummy;
class YM_dummy Ind_Dummy;
model dgtw_adj_ret= TP TP*Pct_traded_imbalance_04_adj   Pct_traded_imbalance_04_adj Size BM Institutional_holding Turnover Dispersion Past_12m_return Analyst_Coverage fexp Relative_EPS_optimism  drop_cov Top10_Broker Investment_Bank_Affiliation Broker_Ind_spec
					YM_dummy Ind_Dummy/ solution;
run;
quit;

* Model 5 *;

Proc glm data=TP_Data.Table_9_Panel_A_model_5_to_8; 
absorb Ind_year_Dummy;
class YM_dummy;
model dgtw_adj_ret= TP TP*Pct_traded_imbalance_01_adj   Pct_traded_imbalance_01_adj SB Size BM Institutional_holding Turnover Dispersion Past_12m_return Analyst_Coverage fexp gexp Portsize Portfolio_complexity Relative_EPS_optimism All_star drop_cov Top10_Broker Investment_Bank_Affiliation Broker_Ind_spec
					YM_dummy / solution;
run;
quit;

* Model 6 *;

Proc glm data=TP_Data.Table_9_Panel_A_model_5_to_8; 
absorb Ind_year_Dummy;
class YM_dummy;
model dgtw_adj_ret= TP TP*Pct_traded_imbalance_02_adj   Pct_traded_imbalance_02_adj SB Size BM Institutional_holding Turnover Dispersion Past_12m_return Analyst_Coverage fexp gexp Portsize Portfolio_complexity Relative_EPS_optimism All_star drop_cov Top10_Broker Investment_Bank_Affiliation Broker_Ind_spec
					YM_dummy / solution;
run;
quit;

* Model 7 *;

Proc glm data=TP_Data.Table_9_Panel_A_model_5_to_8; 
absorb Ind_year_Dummy;
class YM_dummy;
model dgtw_adj_ret= TP TP*Pct_traded_imbalance_03_adj   Pct_traded_imbalance_03_adj SB Size BM Institutional_holding Turnover Dispersion Past_12m_return Analyst_Coverage fexp gexp Portsize Portfolio_complexity Relative_EPS_optimism All_star drop_cov Top10_Broker Investment_Bank_Affiliation Broker_Ind_spec
					YM_dummy / solution;
run;
quit;

* Model 8 *;

Proc glm data=TP_Data.Table_9_Panel_A_model_5_to_8; 
absorb Ind_year_Dummy;
class YM_dummy;
model dgtw_adj_ret= TP TP*Pct_traded_imbalance_04_adj   Pct_traded_imbalance_04_adj SB Size BM Institutional_holding Turnover Dispersion Past_12m_return Analyst_Coverage fexp gexp Portsize Portfolio_complexity Relative_EPS_optimism All_star drop_cov Top10_Broker Investment_Bank_Affiliation Broker_Ind_spec
					YM_dummy / solution;
run;
quit;


** Panel B **;

* Model 1 *;

Proc glm data=TP_Data.Table_9_Panel_B_model_1_to_4;
absorb Analyst_year_Dummy;
class YM_dummy Ind_Dummy;
model dgtw_adj_ret= TP TP*Pct_retail_traded_imb_01_adj   Pct_retail_traded_imb_01_adj Size BM Institutional_holding Turnover Dispersion Past_12m_return Analyst_Coverage fexp Relative_EPS_optimism  drop_cov Top10_Broker Investment_Bank_Affiliation Broker_Ind_spec
					YM_dummy Ind_Dummy/ solution;
run;
quit;

* Model 2 *;

Proc glm data=TP_Data.Table_9_Panel_B_model_1_to_4;
absorb Analyst_year_Dummy;
class YM_dummy Ind_Dummy;
model dgtw_adj_ret= TP TP*Pct_retail_traded_imb_02_adj   Pct_retail_traded_imb_02_adj Size BM Institutional_holding Turnover Dispersion Past_12m_return Analyst_Coverage fexp Relative_EPS_optimism  drop_cov Top10_Broker Investment_Bank_Affiliation Broker_Ind_spec
					YM_dummy Ind_Dummy/ solution;
run;
quit;

* Model 3 *;

Proc glm data=TP_Data.Table_9_Panel_B_model_1_to_4;
absorb Analyst_year_Dummy;
class YM_dummy Ind_Dummy;
model dgtw_adj_ret= TP TP*Pct_retail_traded_imb_03_adj   Pct_retail_traded_imb_03_adj Size BM Institutional_holding Turnover Dispersion Past_12m_return Analyst_Coverage fexp Relative_EPS_optimism  drop_cov Top10_Broker Investment_Bank_Affiliation Broker_Ind_spec
					YM_dummy Ind_Dummy/ solution;
run;
quit;

* Model 4 *;

Proc glm data=TP_Data.Table_9_Panel_B_model_1_to_4;
absorb Analyst_year_Dummy;
class YM_dummy Ind_Dummy;
model dgtw_adj_ret= TP TP*Pct_retail_traded_imb_04_adj   Pct_retail_traded_imb_04_adj Size BM Institutional_holding Turnover Dispersion Past_12m_return Analyst_Coverage fexp Relative_EPS_optimism  drop_cov Top10_Broker Investment_Bank_Affiliation Broker_Ind_spec
					YM_dummy Ind_Dummy/ solution;
run;
quit;

* Model 5 *;

Proc glm data=TP_Data.Table_9_Panel_B_model_5_to_8; 
absorb Ind_year_Dummy;
class YM_dummy;
model dgtw_adj_ret= TP TP*Pct_retail_traded_imb_01_adj   Pct_retail_traded_imb_01_adj SB Size BM Institutional_holding Turnover Dispersion Past_12m_return Analyst_Coverage fexp gexp Portsize Portfolio_complexity Relative_EPS_optimism All_star drop_cov Top10_Broker Investment_Bank_Affiliation Broker_Ind_spec
					YM_dummy / solution;
run;
quit;

* Model 6 *;

Proc glm data=TP_Data.Table_9_Panel_B_model_5_to_8; 
absorb Ind_year_Dummy;
class YM_dummy;
model dgtw_adj_ret= TP TP*Pct_retail_traded_imb_02_adj   Pct_retail_traded_imb_02_adj SB Size BM Institutional_holding Turnover Dispersion Past_12m_return Analyst_Coverage fexp gexp Portsize Portfolio_complexity Relative_EPS_optimism All_star drop_cov Top10_Broker Investment_Bank_Affiliation Broker_Ind_spec
					YM_dummy / solution;
run;
quit;

* Model 7 *;

Proc glm data=TP_Data.Table_9_Panel_B_model_5_to_8; 
absorb Ind_year_Dummy;
class YM_dummy;
model dgtw_adj_ret= TP TP*Pct_retail_traded_imb_03_adj   Pct_retail_traded_imb_03_adj SB Size BM Institutional_holding Turnover Dispersion Past_12m_return Analyst_Coverage fexp gexp Portsize Portfolio_complexity Relative_EPS_optimism All_star drop_cov Top10_Broker Investment_Bank_Affiliation Broker_Ind_spec
					YM_dummy / solution;
run;
quit;


* Model 8 *;

Proc glm data=TP_Data.Table_9_Panel_B_model_5_to_8; 
absorb Ind_year_Dummy;
class YM_dummy;
model dgtw_adj_ret= TP TP*Pct_retail_traded_imb_04_adj   Pct_retail_traded_imb_04_adj SB Size BM Institutional_holding Turnover Dispersion Past_12m_return Analyst_Coverage fexp gexp Portsize Portfolio_complexity Relative_EPS_optimism All_star drop_cov Top10_Broker Investment_Bank_Affiliation Broker_Ind_spec
					YM_dummy / solution;
run;
quit;

